An accurate approximation formula for pricing European options with discrete dividend payments

DOI10.1093/imaman/dpw020OpenAlexW2529911147MaRDI QIDQ5234097

Xin-Jiang He, Song-Ping Zhu

Publication date: 25 September 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/eispapers/6561

zbMATH Keywords

approximation formulamulti-perioddiscrete dividend

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Fast quadrature methods for options with discrete dividends

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